MadChild212, the safest way to mod your theme is to make a backup of your firmware as outlined here
http://www.mympxplayer.com/viewtopic.php?t=66
Then Change the images within your firmware as outlined here
http://www.mympxplayer.com/viewtopic.php?t=206
Most themes you download contain the images you need to use while others contain the firmware already modified. I would not recomend using an already modified firmware unless you are certain it is compatible with your player as it could render your player unusable.
If you find a firmware that contains a theme you would like to use you can use S1res to extract the images then load them into your firmware backup. Be sure to always keep a untouched backup of your firmware
Once you have modified your firmware you can upload it to your player using MP3 Player Upgrade Tool which is part of the MP3 Player Utilities which you will find in the download section. Version 3.68 appears to be slightly more stable than version 4.0
Hope this helps.